This work analyzes the possible links between CDS premiums and bond spreads, with reference to both Eurozone sovereign and corporate markets, within the period 2011-2018. The main goal of this work is to provide more up-to-date results about the theoretical equivalence between the CDS premium and the credit spread of the underlying bond, and about the price discovery process of the credit risk between the CDS market and the bond market. While, theoretically, the CDS-bond basis must tend to zero, the analysis on all the considered markets has shown that it results to be constantly away from parity and, more specifically, positive on average. The analysis of the price discovery process of the credit risk between the CDS market and the bond market, analyzed by means of the VAR and VECM models, confirms the leader role of bond spreads for almost all the analyzed entities. These evidence could be useful for arbitrageurs, who want to take advantage of potential market inefficiencies, and for regulators interested in guaranteeing the financial system stability through timely and correct inclusion of all available information in the security prices, avoiding any adverse selection issue.

This paper analyzes the "surprise effect" of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic "surprise effects" so that the US volatility has a positive influence on the German one, but not vice versa. With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the "surprise effect" of the IFO Business Climate Index and the VDAX-NEW index changes. As regard the second time period (June 2012-December 2014), characterized by lower volatility, the significant macro "surprise effects" are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro "surprise effects" and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the "surprise effect" direction and his link with the volatility index.

Gold and Oil have always had a central role within the international economy, and meet the interests of many investors, and in particular, speculators. The Euro introduction (1999) has added the Euro-Dollar exchange rate as a further main variable that the operators, investing on these commodities, have to consider when implementing their strategies. This paper analyzes the mutual relationship between commodities prices (gold and oil) and the Euro/Dollar exchange rate, within the time frame from 2004 to 2014, so to find which specific variable can give significant information on the expected variation of other variables and on which time horizon. This can support the of investors' choices on taking more effective speculative positions. Results obtained by means of a VAR model show some significant statistical relationship between the three variables on the short term (i.e. when considering daily data), but also some possible relationship on a longer term (monthly data), suggesting that oil prices can give significant information on the expected value of the Euro/Dollar exchange rate.